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Fugit

Expected time to exercise an option

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What is Fugit?

Fugit The expected time to exercise for an American option, expressed in years. Fugit represents the risk-neutral expected life of the option. A fugit close to expiration suggests early exercise is unlikely, while a fugit significantly shorter than time to expiration indicates early exercise is probable.

Complete definition

The expected time to exercise for an American option, expressed in years. Fugit represents the risk-neutral expected life of the option. A fugit close to expiration suggests early exercise is unlikely, while a fugit significantly shorter than time to expiration indicates early exercise is probable.

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By Ryan Silk & Lawrence Polatchek Last reviewed . Methodology is published in full.

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